Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Herman J. Bierens, Li Wang

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Abstract

In this article, we propose a weighted simulated integrated conditional moment (WSICM) test of the validity of parametric specifications of conditional distribution models for stationary time series data, by combining the weighted integrated conditional moment (ICM) test of Bierens (1984) for time series regression models with the simulated ICM test of Bierens and Wang (2012) of conditional distribution models for cross-section data. To the best of our knowledge, no other consistent test for parametric conditional time series distributions has been proposed yet in the literature, despite consistency claims made by some authors.

Original languageEnglish (US)
Pages (from-to)103-135
Number of pages33
JournalEconometric Reviews
Volume36
Issue number1-3
DOIs
Publication statusPublished - Mar 16 2017

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All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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